Approximation of the Variance Gamma Model with a Finite Mixture of Normals (Preprint version)

We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm

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Year of publication:	2014
Authors:	Loregian, Angela ; Mercuri, Lorenzo ; Rroji, Edit
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Statistics & Probability Letters, Vol. 82 (2), February 2012, Pages 217–224 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 18, 2011 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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